LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises (Q5367401)
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scientific article; zbMATH DE number 6790880
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| English | LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises |
scientific article; zbMATH DE number 6790880 |
Statements
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (English)
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13 October 2017
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statistical inference
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auto-regressive moving average (ARMA)
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least absolute deviation estimator (LADE)
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ARMA\((p,q)\) models
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asymptotic normality
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G/ARCH noises
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heavy-tailed noises
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LADE
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random weighting approach
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self-weighted LADE
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sign-based portmanteau test
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strong consistency
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0.8659412264823914
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0.8490855097770691
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0.8216888904571533
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0.8149282336235046
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0.8120517730712891
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